I have the exact same experience with Valentino non-caged ballet flats (I own 1 pair of non-caged flats, 2 pairs of patent kitten heels, 1 pair 10mm heels)
I have no clue why the US department stores advise sizing up on their website, as that would be huge for my feet, therefore I never go for US sizing, always Italian. I'm a TTS 35 (all designer shoes) too. In my experience, I found getting the whole foot-long insoles plus the cushion to be the best, as not only they offer you some support (which the super flat Valentino ballerinas don't give you), they also help protect the actual shoes' insolves (you won't get sweat and dirt marks on the actual designer's insoles). I hope I'm making sense.
Thanks so much for this info! Yes it makes sense and I did end up having to put insoles in mine too (the thick Stiletto Hardware ones) and that made them more wearable. I share your frustration about the sizing advice, especially for us small-footed ladies!